This Winter, I will be giving a (graduate) course on time series, MAT8181. It is an ISM course, and even if it will probably be given in French, I will upload information here, in English. I will upload the (detailed) syllabus of the course during the Christmas holidays. But to give an overview, for those willing to register, the first part of the course will focus on linear models, univariate and then multivariate. The references for this first part are
- Brockwell, P.J. & Davis, R.A. (1991). TIme Series: Theory and Methods. Springer Verlag.
- Lütkepohl, H. (2006). Introduction to Multiple Time Series. Springer Verlag.
In the second part, we will introcue non-linear models, used in financial econometrics, from ARCH to GARCH, as well as stochastic volatility models. The references for this second part are
- Francq, C. & Zakoian, J.M. (2010). GARCH models. Wiley.
- Zivot, E. & Wang, J. (2006). Modeling Financial Time Series. Springer-Verlag.
[a pdf version can be found on Eric Zivot’s webpage]
Specific references and more details about the chapters will be given during the course. I will upload exercises this winter, as well as a list of articles that will be used for projects. Examples will be illustrated using R functions from dedicated packages.
Grades will be based on exercises (homework), report (based on a published paper) and final writen exam.